Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0637 |
| Annualized Std Dev | 0.3217 |
| Annualized Sharpe (Rf=0%) | -0.1981 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3332.0000 |
| NAs | 1.0000 |
| Minimum | -0.1975 |
| Quartile 1 | -0.0094 |
| Median | 0.0007 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0102 |
| Maximum | 0.1308 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0004 |
| Stdev | 0.0203 |
| Skewness | -0.6412 |
| Kurtosis | 8.7365 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0149 |
| Gain Deviation | 0.0134 |
| Loss Deviation | 0.0159 |
| Downside Deviation (MAR=210%) | 0.0195 |
| Downside Deviation (Rf=0%) | 0.0150 |
| Downside Deviation (0%) | 0.0150 |
| Maximum Drawdown | 0.8906 |
| Historical VaR (95%) | -0.0323 |
| Historical ES (95%) | -0.0487 |
| Modified VaR (95%) | -0.0333 |
| Modified ES (95%) | -0.0710 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-14 | 2020-04-28 | NA | -0.8906 | 3188 | 2962 | NA |
| 2008-03-14 | 2008-03-19 | 2008-04-07 | -0.1083 | 16 | 4 | 12 |
| 2008-01-04 | 2008-01-24 | 2008-02-19 | -0.1040 | 30 | 13 | 17 |
| 2008-05-22 | 2008-06-04 | 2008-06-06 | -0.0947 | 11 | 9 | 2 |
| 2008-07-07 | 2008-07-09 | 2008-07-11 | -0.0696 | 5 | 3 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | -0.6 |
| 2008 | -0.7 | 2 | 0.6 | -1.2 | 0 | 0.6 | 0.6 | -1.7 | -1 | 5.7 | -3.4 | -1.7 | -0.6 |
| 2009 | -1.3 | -1 | -1.6 | 3.7 | 2.8 | -0.4 | 2.2 | -2.3 | 0.4 | -3.8 | 1 | -0.1 | -0.8 |
| 2010 | 2.5 | -0.8 | 2.2 | 0.7 | -1.6 | -2.8 | 0.7 | 2.5 | 1.9 | 1.4 | 2.8 | 2.1 | 11.9 |
| 2011 | -0.3 | 2.9 | 1.4 | 0.7 | -2.2 | -0.1 | -0.6 | -0.2 | -4.5 | -1.6 | 0 | -0.5 | -5.2 |
| 2012 | -0.7 | 1.5 | 0 | 0.9 | -3.5 | 7.2 | 1.4 | 1.6 | 0.4 | 1 | 0.9 | 0.7 | 11.8 |
| 2013 | 0.3 | -0.8 | 0.2 | -2.1 | -1.5 | 1.1 | 1.6 | 0.1 | -0.4 | -1.2 | 0.9 | -0.3 | -2.1 |
| 2014 | -0.7 | 0.3 | -1.9 | -0.5 | -0.4 | 0 | -0.6 | 0.9 | -0.6 | -0.2 | 2.7 | 0.7 | -0.2 |
| 2015 | 5.6 | 1.4 | 3.1 | 0 | 0.2 | -3.3 | -2.5 | -7 | -1 | 1.3 | 0 | 1.7 | -0.9 |
| 2016 | -4.5 | 0.3 | -3.4 | 0.3 | 0.8 | 1.8 | -2.8 | -2.4 | 0.6 | 0.4 | 2.9 | 0 | -5.9 |
| 2017 | 1.1 | -0.1 | 0.5 | -0.4 | -0.1 | 2.7 | -1.4 | 0.1 | -0.3 | -0.3 | 1.5 | 0.2 | 3.5 |
| 2018 | 2 | -0.2 | 0.4 | -1.8 | -1.7 | 1 | -1.6 | -0.2 | 2.9 | -2.5 | -1.3 | 1.9 | -1.3 |
| 2019 | 2.6 | -2.1 | 2 | -0.1 | -5.7 | 2.1 | -5.5 | -2.4 | -0.6 | 2.3 | -3.9 | -0.7 | -11.9 |
| 2020 | -1.4 | -3.1 | -2.6 | -2.2 | 1.3 | 0.9 | 0.6 | 0.5 | -2.9 | -1 | -1 | 0.2 | -10.2 |
| 2021 | 2.5 | -1.8 | 3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-06 51.4 SPY 151. 0.0143 0.0255 -0.0074 0.0333 0.0637 0.266 0.633 GLD 79.4 0.0094 0.0139
2 2007-12-07 50.3 SPY 151. -0.0002 0.0151 0.0203 0.0351 0.0644 0.278 0.651 GLD 78.6 -0.0097 0.0166
3 2007-12-10 50.3 SPY 152. 0.0078 0.0298 0.0334 0.0311 0.0774 0.280 0.652 GLD 80 0.0178 0.022
4 2007-12-11 51.0 SPY 148. -0.0274 0.0106 0.0191 0.000300 0.0459 0.241 0.653 GLD 78.8 -0.0145 -0.0071
5 2007-12-12 53.0 SPY 149. 0.0099 0.0038 0.0395 0.0031 0.0532 0.252 0.647 GLD 80.5 0.0209 0.0237
6 2007-12-13 52.7 SPY 149. -0.0021 -0.0125 0.0066 0.0011 0.0518 0.238 0.642 GLD 78.5 -0.0247 -0.011
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
